1.

Record Nr.

UNINA9910809874103321

Autore

Clark Iain J

Titolo

Foreign exchange option pricing : a practitioner's guide / / Iain J. Clark

Pubbl/distr/stampa

Chichester [England], : Wiley, 2011

ISBN

1-119-20867-X

1-283-23956-6

9786613239563

0-470-97719-1

Edizione

[1st edition]

Descrizione fisica

1 online resource (300 p.)

Collana

Wiley finance series

Disciplina

332.4/5

Soggetti

Options (Finance) - Prices

Stock options

Foreign exchange rates

Lingua di pubblicazione

Inglese

Formato

Materiale a stampa

Livello bibliografico

Monografia

Note generali

Description based upon print version of record.

Nota di bibliografia

Includes bibliographical references (p. [265]-270) and index.

Nota di contenuto

A gentle introduction to FX markets -- Mathematical preliminaries -- Deltas and market conventions -- Volatility surface construction -- Local volatility and implied volatility.

Sommario/riassunto

This book covers foreign exchange options from the point of view of the finance practitioner. It contains everything a quant or trader working in a bank or hedge fund would need to know about the mathematics of foreign exchange-not just the theoretical mathematics covered in other books but also comprehensive coverage of implementation, pricing and calibration.    With content developed with input from traders and with examples using real-world data, this book introduces many of the more commonly requested products from FX options trading desks, together with the models that capture the ri